QuantLib_CreditRiskPlus man page

CreditRiskPlus —


#include <ql/experimental/risk/creditriskplus.hpp>

Public Member Functions

CreditRiskPlus (const std::vector< Real > &exposure, const std::vector< Real > &defaultProbability, const std::vector< Size > &sector, const std::vector< Real > &relativeDefaultVariance, const Matrix &correlation, const Real unit)

const std::vector< Real > & loss ()

const std::vector< Real > & marginalLoss ()

Real exposure ()

Real expectedLoss () const

Real unexpectedLoss ()

Real relativeDefaultVariance ()

const std::vector< Real > & sectorExposures () const

const std::vector< Real > & sectorExpectedLoss () const

const std::vector< Real > & sectorUnexpectedLoss () const

Real lossQuantile (const Real p)

Detailed Description

Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein.


the input correlation matrix is not checked for positive definiteness


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

CreditRiskPlus(3), loss(3), lossQuantile(3), marginalLoss(3), relativeDefaultVariance(3), sectorExpectedLoss(3), sectorExposures(3), sectorUnexpectedLoss(3) and unexpectedLoss(3) are aliases of QuantLib_CreditRiskPlus(3).

QuantLib Version 1.8.1 Fri Sep 23 2016